{"title":"An approximate formula for calculating the expectations of functionals from random processes based on using the Wiener chaos expansion","authors":"A. Egorov","doi":"10.1515/mcma-2020-2074","DOIUrl":null,"url":null,"abstract":"Abstract In this work, we propose a new method for calculating the mathematical expectation of nonlinear functionals from random processes. The method is based on using Wiener chaos expansion and approximate formulas, exact for functional polynomials of given degree. Examples illustrating approximation accuracy are considered.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"26 1","pages":"285 - 292"},"PeriodicalIF":0.6000,"publicationDate":"2020-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/mcma-2020-2074","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Monte Carlo Methods and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/mcma-2020-2074","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 1
Abstract
Abstract In this work, we propose a new method for calculating the mathematical expectation of nonlinear functionals from random processes. The method is based on using Wiener chaos expansion and approximate formulas, exact for functional polynomials of given degree. Examples illustrating approximation accuracy are considered.
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